Sökning: "Tangency Portfolio"

Hittade 5 uppsatser innehållade orden Tangency Portfolio.

  1. 1. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Kamyar Espahbodi; Roumi Roumi; [2021]
    Nyckelord :Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

    Sammanfattning : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. LÄS MER

  3. 2. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

  4. 3. Bitcoin: The New Digital Gold?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kathery Angelica Razo Mendoza; [2018]
    Nyckelord :Bitcoin; Gold; Digital Gold; Minimum Variance Portfolio; Tangency Portfolio; In-sample and out-sample portfolios.; Business and Economics;

    Sammanfattning : Bitcoin has become a mainstream in the financial world. It has several similarities with Gold as low correlation with stocks, inflation hedge, government decentralization and the no currency attachment. Therefore, the name of the new “Digital Gold”. This study compares Gold and Bitcoin, offered as an alternatives financial assets. LÄS MER

  5. 4. Estimation and Theory of Tangency Portfolio Weights: Evidence from S&P Data

    Kandidat-uppsats, Örebro universitet/Institutionen för naturvetenskap och teknik

    Författare :John Larsson; [2018]
    Nyckelord :Portföljteori; tangentportfölj; kovarians; rang; Moore-Penrose-invers;

    Sammanfattning : En introduktion ges till portföljteori och tillämpning av tangentportföljen med en riskfri tillgång presenteras. Nyttofunktioner förklaras och hur tangentportföljen kan härledas med hjälp av en nyttofunktion. LÄS MER

  7. 5. Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios

    Kandidat-uppsats, IHH, Företagsekonomi

    Författare :Victor Karlsson; Rikard Svensson; Viktor Eklöf; [2012]
    Nyckelord :Finance; Modern Portfolio Theory; Product Portfolios; Black-Litterman; Efficient Frontier; Investment Decisions; Commodities; Hedging; Risk Management; Contingent Hedge; Diversification; Risk Minimization; Return Optimization; Mining; Metals;

    Sammanfattning : In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. LÄS MER